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Predictive regression with order-p autoregressive predictors
Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi - In: Journal of empirical finance 17 (2010) 3, pp. 513-525
Persistent link: https://www.econbiz.de/10009267284
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Predictive regression with p-lags and order-q autoregressive predictors
Jayetileke, Harshanie L.; Wang, You-Gan; Zhu, Min - In: Journal of empirical finance 62 (2021), pp. 282-293
Persistent link: https://www.econbiz.de/10012693434
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A frequency-domain alternative to long-horizon regressions with application to return predictability
Sizova, Natalia - In: Journal of empirical finance 28 (2014), pp. 261-272
Persistent link: https://www.econbiz.de/10011285632
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Balanced predictive regressions
Ren, Yu; Tu, Yundong; Yi, Yanping - In: Journal of empirical finance 54 (2019), pp. 118-142
Persistent link: https://www.econbiz.de/10012174812
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The specification of conditional expectations
Harvey, Campbell R. - In: Journal of empirical finance 8 (2001) 5, pp. 573-637
Persistent link: https://www.econbiz.de/10001655355
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Stock return autocorrelations revisited : a quantile regression approach
Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - In: Journal of empirical finance 19 (2012) 2, pp. 254-265
Persistent link: https://www.econbiz.de/10009615707
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Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu - In: Journal of empirical finance 15 (2008) 2, pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
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Robust tests for a linear trend with an application to equity indices
Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of empirical finance 29 (2014), pp. 168-185
Persistent link: https://www.econbiz.de/10011300487
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Unit root vector autoregression with volatility induced stationarity
Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of empirical finance 29 (2014), pp. 144-167
Persistent link: https://www.econbiz.de/10011300499
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Nonlinearity and smoothing in venture capital performance data
McKenzie, Michael D.; Satchell, Stephen; Wongwachara, … - In: Journal of empirical finance 19 (2012) 5, pp. 782-795
Persistent link: https://www.econbiz.de/10009700590